摘要
运用2006-2017年间A股的机构投资者持仓数据,以证券分析师覆盖和分析师盈利预测衡量公司信息透明度,通过两步回归法,发现机构投资者持股显著提高了公司信息透明度、降低了股价波动,并且以公募基金为代表的主动型投资者发挥的作用更大。在改变衡量指标、回归样本以及考虑内生性等因素的影响后,结论依然稳健。本文的发现为监管部门引导机构投资者监督上市公司、维护股价稳定提供了新的有益证据。
Performing two-step regression on A-share stocks'institutional ownership data from 2006 to 2017,we find that insti- tutional ownership,measured by analyst coverage and analysts'earnings forecast,significantly improves firms'information transparency and reduces stock price volatility.Further,we find that active investors,mainly mutual funds,play a greater role. The result is robust to alternative proxies,subsamples and controlling for endogeneity.This article provides useful evidence for regulators in their guidance of institutional investors to monitor the listed firms and stabilize the stock prices.
作者
程昕
杨朝军
万孝园
Cheng Xin;Yang Chaojun;Wan Xiaoyua
出处
《投资研究》
CSSCI
北大核心
2018年第6期55-77,共23页
Review of Investment Studies
基金
国家社科基金重大项目"产业升级背景下优化发展中国多层次资本市场体系问题研究"(项目编号:14ZDA046)
关键词
机构投资者
信息透明度
股价波动
Institutional Investors
Information Transparency
Stock Volatility
